Nonstandard Methods for Solving the Heat Equation
Probability
2018-06-07 v1
Abstract
We apply convergence results for discrete Markov chains, to prove the existence of an equilibrium limit in the nonstandard heat equation. We construct a nonstandard backward martingale from a nonstandard solution, and show, using the Feynman-Kac method, how to derive an explicit formula for such solutions, when the initial condition is S-continuous. Finally, we prove that that the nonstandard solution to the heat equation, with a smooth initial condition, specialises to the classical solution.
Keywords
Cite
@article{arxiv.1806.02333,
title = {Nonstandard Methods for Solving the Heat Equation},
author = {Tristram de Piro},
journal= {arXiv preprint arXiv:1806.02333},
year = {2018}
}
Comments
arXiv admin note: substantial text overlap with arXiv:1704.05530